As mentioned in the cygwin mailing list, I've made some minor modifications to dump_setup.cc to avoid the use of gzip when decompressing. This also required the usual kludge in configuration since it means searching outside of the cygwin build tree for the appropriate library.
The difference in speed is quite noticeable. I won't check these in until/if there is a mingw libz package but my psychic powers tell me that this may be happening soon... I just wanted to give a heads up so that no one else would bother trying to get this working. cgf